I want to create a donut shaped PCB - circular with a big hole in the middle. Is it just a case of adding circles for the outer and inner dimensions to the dimension layer and the actual board will be defined as the bit between them?

You can do it on the Dimension layer, but it might be more of a sure thing to use the Milling layer, then tell your PCB manufacturer to use that layer as the board outline. That depends on your manufacturer...many proto houses won't do internal routes.